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An investigation of an unbiased correction for heteroskedasticity and the effects of misspecifying the skedastic function

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Author Info
Belsley, David A.

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Publisher Info
Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 26 (2002)
Issue (Month): 9-10 (August)
Pages: 1379-1396
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Handle: RePEc:eee:dyncon:v:26:y:2002:i:9-10:p:1379-1396

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Belsley, David A, 1997. "A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions," Computational Economics, Springer, vol. 10(3), pages 197-229, August. [Downloadable!]
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  2. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September. [Downloadable!] (restricted)
  3. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-46, March. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series 0611, Economics, The University of Manchester. [Downloadable!]
    Other versions:
  2. Hiroaki Chigira & Tsunemasa Shiba, 2006. "Bayesian Estimation of Unknown Heteroscedastic Variances," Hi-Stat Discussion Paper Series d06-185, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
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